In December 1914, four months after the outbreak of the First World War, Bailey enlisted as a lance corporal in the Football Battalion of the Middlesex Regiment.

[11] The battalion arrived on the Western Front in November 1915 and he was lightly wounded in the face by a rifle grenade in trenches near Calonne-sur-la-Lys in February 1916.

[11] Bailey was serving as a temporary second lieutenant, attached to the Suffolk Regiment, when he was awarded the Military Cross for his actions on 28 March 1918:[14]For conspicuous gallantry and devotion to duty.

He also brought back a man who was lying wounded in the open.Bailey was awarded a bar to his Military Cross for his actions on 21 August 1918:[14]For conspicuous gallantry during an advance.

He showed great skill in consolidating the positions gained and in the disposal of his force.After the armistice, Bailey was held in such high regard by his regiment that he was sent back to Britain to collect his battalion's Colours and bring them to Germany.